Bootstrap testing of the expectations hypothesis with the term structure of interest rates

The Expectations Hypothesis (EH) for the term structure of UK monthly interest rates is tested using Johansen's procedure. Differing results are found depending on the method of lag length selection. The application of the stationary bootstrap reconciles these results, lending support to the Expectations Hypothesis.

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Year of publication:	2002
Authors:	Balcombe, Kelvin ; Tiffin, Richard
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 9.2002, 9, p. 563-566
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009189314